HUBUNGAN ANTARA SINYAL DIVIDEN TUNAI DENGAN KINERJA OPERASIONAL DAN KINERJA PASAR

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A s tu ty , S ir e g a r , H u b u n g a n a n t a r a S i n y a l D i v i d e n T u n a i d e n g a n . 77

J u m a l A k u n t a n s i d a n K e u a n g a n I n d o n e s ia V o l u m e 5 - N o m o r 1, J u n i 2 0 0 8

HUBUNGAN ANTARA SINYAL DIVIDEN TUNAI DENGAN

KINERJA OPERASIONAL DAN KINERJA PASAR

Ni Made Ria Kurniasih Astuty

P a s c a S a r ja n a I lm u A k u n t a n s i F E U I

m a d e r i a 9 9 @ y a h o o .c o m

Sylvia Veronica Siregar

F a k u lt a s E k o n o m i U n iv e r s ita s I n d o n e s ia

s y l v i a _ v n p s @ y a h o o .c o m

Absract

T h is r e s e a r c h a im s a t e x a m in in g d i v i d e n d - s ig n a li n g h y p o t h e s is b y te s t in g th e

r e la tio n s h ip b e tw e e n d i v i d e n d c h a n g e s a n d o p e r a tio n a l p e r f o r m a n c e a s w e l l a s

m a r k e t p e r fo r m a n c e . T h e s a m p le c o n s is ts o f 75 f i r m s f o r th e p e r i o d 2 0 0 0 - 2 0 0 5 . T h e

a n a ly s is e m p lo y e d a re m u ltip le r e g r e s s io n s a n d e v e n t stu d y .

T h e r e s u lts o n o p e r a tio n a l p e r fo r m a n c e s h o w th a t (1 ) d i v i d e n d in c r e a s e (w ith

e a r n in g s in c r e a s e o r e a r n in g s d e c r e a se ) c o r r e la te s s i g n if ic a n t ly w ith th e in c re a s e

o f n e x t p e r i o d c o m p a n y ’s p r o fita b ility , (2 ) d i v i d e n d d e c r e a s e a n d e a r n in g s d e c r e a s e

n e g a t iv e l y c o r r e la te w ith n e x t p e r i o d c o m p a n y 's p r o fita b ility , (3 ) d i v i d e n d d e c r e a s e

a n d e a r n in g s in c r e a s e p o s i t i v e l y c o r r e la te w ith n e x t p e r i o d c o m p a n y ’s p r o fita b ility ,

a n d (4 ) u n c h a n g e d d i v i d e n d d o e s n o t c o r r e la te w ith n e x t p e r i o d c o m p a n y ’s

p r o fita b ility . T h e e v id e n c e o n m a r k e t p e r fo r m a n c e ( c u m u la tiv e a b n o r m a l r e tu r n

s u r r o u n d in g d i v i d e n d a n n o u n c e m e n t d a te ) s h o w s th a t d i v i d e n d c h a n g e s h a v e

s ig n ific a n t e ffe c t o n c u m u la tiv e a b n o r m a l r e tu r n f o r f i v e a n d te n d a y s a r o u n d

a n n o u n c e m e n t d a te . E v id e n c e s f r o m th is r e s e a r c h s h o w th a t d i v i d e n d s i g n a l in g

h y p o t h e s is is n o t f u l l y su p p o r te d .

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7 8 J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , J u n i 2 0 0 8 , Vol. 5, N o . I, h a l. 7 7 - 1 0 1

PENDAHULUAN

D i v i d e n m e r u p a k a n s a la h s a tu b e n tu k r e tu r n y a n g m u n g k i n d i p e r o l e h in v e s t o r s e l a i n c a p ita l g a in . S e d a n g k a n b a g i p e r u s a h a a n , d i v i d e n m e r u p a k a n

“c o s t” a t a s s u m b e r d a n a y a n g d i p e r o l e h d a r i i n v e s t o r u n t u k m e m b i a y a i k e g ia ta n

u s a h a n y a .

P e n e l i t i a n y a n g d i l a k u k a n o l e h H a r to n o e t a l. ( 2 0 0 3 ) d e n g a n m e n g g u n a k a n p e n d e k a t a n d e c i s io n a l e ffic ie n t m a r k e t m e n u n j u k k a n k e n a i k a n n i la i d i v i d e n m e n g h a s i l k a n r e a k s i y a n g p o s i t i f p a d a ta n g g a l p e n g u m u m a n d i p a s a r m o d a l I n d o n e s ia , D e n g a n d e m i k i a n p e n g u m u m a n k e n a ik a n d i v i d e n m e m ili k i in fo r m a tio n

c o n te n t1 d a n p a s a r b e r e a k s i c e p a t. E f e k s i n y a l m a k s u d n y a a d a l a h a p a b i l a a d a

in f o r m a s i la b a d a n p e n g u m u m a n d i v i d e n d a p a t m e m b e r i k a n s i n y a l a ta u in f o r m a s i k e p a d a i n v e s t o r m e n g e n a i p r o s p e k p e r u s a h a a n d i m a s a y a n g a k a n d a ta n g k h u s u s n y a d a l a m m e m p e r o l e h k e u n t u n g a n ( A s q u ith d a n M u l i n s 1 9 8 6 ) . P e r u s a h a a n m e n g g u n a k a n d i v i d e n s e b a g a i s a la h s a tu s a r a n a u n t u k m e n g i n f o r m a s i k a n m e n g e n a i p r o s p e k m a s a d e p a n p e r u s a h a a n k e p a d a p a s a r . D a l a m k o n d i s i a s i m e t r i in f o r m a s i, in v e s to r a k a n b e r a n g g a p a n b a h w a k e b ij a k a n p e r u s a h a a n u n t u k m e n i n g k a t k a n d i v id e n n y a m e r u p a k a n s i n y a l y a n g b a g u s ( H e a ly d a n P a l e p u 1 9 8 8 ) . S e b a l ik n y a , k e b i j a k a n p e r u s a h a a n u n t u k m e n u r u n k a n d i v id e n n y a m e r u p a k a n s i n y a l k e p a d a in v e s to r b a h w a p r o s p e k m a s a d e p a n p e r u s a h a a n k u r a n g b a g u s . T e o r i d i v i d e n d

s i g n a l in g m e n g a t a k a n b a h w a k e n a i k a n d i v id e n m e m b a w a p r o s p e k y a n g le b i h b a ik

( B h a t t a c h a r y a 1 9 7 9 ; M i l l e r a n d d a n R o c k 1 9 8 5 ; J o h n d a n W il l i a m s 1 9 8 5 ) . N a m u n h a s il p e n e l i t i a n B e n a r t z i e t a l. ( 1 9 9 7 ) m e n u n j u k k a n b a h w a h a n y a s e d i k i t b u k ti b a h w a p e r u b a h a n d i v i d e n d a p a t m e m p r e d i k s i k e n a i k a n e a r n in g s 2.

P e n e l i t i a n B e n a r t z i e t a l. ( 2 0 0 3 ) j u s t r u m e n u n j u k k a n h a s i l y a n g b e r b e d a d a r i p e n e l i t i a n B e n a r t z i e t a l. ( 1 9 9 7 ) , y a it u b a h w a p e r u b a h a n d i v i d e n j u s t r u b e r k o r e l a s i n e g a t i f d e n g a n p e r u b a h a n p r o f i t a b i lit a s m a s a y a n g a k a n d a ta n g . B a h k a n h a s il p e n e l i t i a n B e n a r t z i e t a l. ( 2 0 0 3 ) m e n y i m p u l k a n b a h w a d a l a m d i v i d e n t i d a k t e r d a p a t in fo r m a tio n c o n te n t s e h in g g a s e b a ik n y a i n v e s to r m e n g a b a i k a n in f o r m a s i a ta s p e n g u m u m a n d i v i d e n . T e ta p i h a s il p e n e l i t i a n y a n g d i l a k u k a n d i I n d o n e s i a o le h K u r n i a w a n e t a l. ( 2 0 0 5 ) m e m p e r o l e h h a s il b a h w a d i v id e n m e m b e r i k a n t a m b a h a n i n f o r m a s i k e p a d a in v e s to r .

B e r d a s a r k a n p e n j e l a s a n d i a t a s , m a k a p e r m a s a l a h a n d a l a m p e n e l i t i a n in i a d a l a h u n t u k m e m b e r i k a n b u k ti e m p i r i s m e n g e n a i:

1 D a l a m p a s a r m o d a l s u a t u i n f o r m a s i a d a l a h c o s t l e s s d a n s e t i a p i n v e s t o r d a p a t m e m p e r o l e h n y a d e n g a n s a m a . D i v i d e n s e n d i r i m e m i l i k i s u a t u i n f o r m a t i o n c o n t e n t ( k a n d u n g a n i n f o r m a s i ) y a n g d i k o m u n i k a s i k a n o l e h p i h a k p e r u s a h a a n t e r h a d a p i n v e s t o r ( L e a s e e t a l . 1 9 9 9 ) .

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A s h ity , S ir e g a r , H u b u n g a n a n t a r a S i n y a l D iv i d e n T u n a i d e n g a n . 79

1. A p a k a h t e r d a p a t h u b u n g a n a n ta r a p e r u b a h a n d i v i d e n d e n g a n p r o f it a b i lit a s p e r u s a h a a n p e r i o d e s a tu ta h u n k e d e p a n ?

2 . A p a k a h p e n g u m u m a n p e r u b a h a n d i v id e n m e m p e n g a r u h i C A R d i s e k i t a r t a n g g a l p e n g u m u m a n ?

TELAAH LITERATUR DAN PENGEMBANGAN HIPOTESIS

T e o r i s i n y a l d a la m s a i n s k o m u n i k a s i d i g u n a k a n d a l a m d i s i p l i n s a in s a k u n t a n s i u n t u k m e n j e l a s k a n d a n m e m p r e d ik s i p o l a p e r i l a k u k o m u n i k a s i m a n a je r k e p a d a p u b lik . S a l a h s a tu f u n g s i T e o r i S in y a l d a l a m a k u n t a n s i a d a l a h u n t u k m e n i l a i a d a n y a in f o r m a s i p r i v a t ( L e a s e e t a l. 1 9 9 9 ) .

M e n u r u t S k o u s e n ( 2 0 0 0 ) , d i v id e n d a p a t d i d e f i n i s i k a n s e b a g a i b a g ia n la b a a ta u p e n d a p a t a n p e r u s a h a a n y a n g d i te ta p k a n o l e h d i r e k s i ( d a n d i s a h k a n o l e h r a p a t p e m e g a n g s a h a m ) u n t u k d i b a g i k a n k e p a d a p e m e g a n g s a h a m . H e a l y d a n P a l e p u ( 1 9 8 8 ) m e n y i m p u l k a n b a h w a k e n a ik a n d i v i d e n s e c a r a s i g n i f i k a n b e r h u b u n g a n d e n g a n p e n i n g k a t a n l a b a p a d a ta h u n s e b e lu m d a n p a d a t a h u n s a a t p e n g u m u m a n d i v id e n . B e g i tu j u g a d e n g a n p e n e l i t i a n B h a t t a c h a r y a ( 1 9 7 9 ) d a n A h a r o n y e t al. ( 1 9 8 0 ) y a n g b e r h a s i l m e m b u k t i k a n b a h w a d i v i d e n b e r h u b u n g a n d e n g a n e x p e c te d

c a s h f l o w d a n d i v i d e n s e n d i r i m e n g a n d u n g i n f o r m a s i . T h a l e r e t a l. ( 1 9 9 7 )

m e n y a t a k a n b a h w a p e r u b a h a n d i v id e n p a d a p e r i o d e s e b e l u m n y a m e m p u n y a i k a n d u n g a n i n f o r m a s i t e r h a d a p p e n d a p a ta n p e r u s a h a a n p e r i o d e y a n g a k a n d a ta n g . D a r i b e b e r a p a l i t e r a t u r d e n g a n h a s i l y a n g b e r b e d a - b e d a , m a k a p e n e l i t i a n in i in g in k e m b a l i m e n g u j i h u b u n g a n p e r u b a h a n d i v id e n d e n g a n k i n e r j a p a s a r p e r i o d e s a tu ta h u n k e d e p a n . H i p o t e s i s p e r t a m a y a n g d i a j u k a n a d a l a h :

Hla: Terdapat hubungan antara perubahan dividen dengan

Return on Equity

(ROE) periode satu tahun ke depan.

Hlb: Terdapat hubungan antara perubahan dividen dengan

Net Profit

Margin

(NPM) periode satu tahun ke depan.

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m e n a i k k a n d i v i d e n k a r e n a p e r u s a h a a n t e r s e b u t i n g i n m e m b e r i s i n y a l b a h w a p r o f it a b i li t a s p e r u s a h a a n te r s e b u t a k a n t e t a p b a i k d i p e r io d e b e r i k u t n y a . S e h in g g a d i b e n t u k h i p o t e s i s s e b a g a i b e r ik u t:

H2a,,: Terdapat hubungan positif antara dividen naik dan laba naik dengan

ROE periode satu tahun ke depan.

H2aI2: Terdapat hubungan positif antara dividen naik dan laba turun

dengan ROE periode satu tahun ke depan.

H2b(

Terdapat hubungan positif antara dividen naik dan lqba naik dengan

NPM periode satu tahun ke depan.

H2b|2: Terdapat hubungan positif antara dividen naik dan laba turun

dengan NPM periode satu tahun ke depan.

S e c a r a k h u s u s M i l l e r e t a l. ( 1 9 8 5 ) d a n N i s s i m e t a l. ( 2 0 0 1 ) m e n e m u k a n k a n d u n g a n in f o r m a s i p e r u b a h a n d i v i d e n t e n t a n g p r o f it a b i lit a s d i m a s a y a n g a k a n d a t a n g . N a m u n h u b u n g a n a n t a r a p e r u b a h a n d i v id e n d e n g a n p e r u b a h a n la b a ti d a k s i m e t r i s u n t u k d i v i d e n m e n i n g k a t d a n m e n u r u n ( D e A n g e l o e t a l. 1 9 9 0 ; B e n a r tz i e t a l . 1 9 9 7 ) , m a k a a d a k e m u n g k i n a n te r ja d i p e r b e d a a n k o e f is i e n y a n g s i g n if i k a n a n ta r a d i v i d e n m e n i n g k a t d a n m e n u r u n . S e b a g a im a n a d i u r a i k a n d i a ta s , m a k a d i r u m u s k a n h i p o t e s i s s e b a g a i b e r ik u t :

H2a2 Terdapat hubungan negatif antara dividen turun dan laba naik dengan

ROE periode satu tahun ke depan.

H2a22: Terdapat hubungan negatif antara dividen turun dan laba turun dengan

ROE periode satu tahun ke depan.

H2b2 Terdapat hubungan negatif antara dividen turun dan laba naik dengan

NPM periode satu tahun ke depan.

H2b22: Terdapat hubungan negatif antara dividen turun dan laba turun

dengan NPM periode satu tahun ke depan.

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A s tu ty , S ir e g a r , H u b u n g a n a n t a r a S i n y a l D i v i d e n T u n a i d e n g a n . 8 1

d e n g a n p r o f i t a b i l i t a s p e r u s a h a a n . U n t u k it u p e n e l i t i a n in i i n g i n m e n g u j i k e m b a li a p a k a h t e r d a p a t h u b u n g a n a n ta r a d i v id e n ti d a k b e r u b a h d e n g a n p r o f it a b i l it a s p e r u s a h a a n s a t u t a h u n k e d e p a n .

H2a3|: Terdapat hubungan antara dividen tidak berubah dan laba naik

dengan ROE periode satu tahun ke depan.

H2a32: Terdapat hubungan antara dividen tidak berubah dan laba turun

dengan ROE periode satu tahun ke depan.

H2b3]: Terdapat hubungan antara dividen tidak berubah dan laba naik

dengan NP M periode satu tahun ke depan.

H2b32: Terdapat hubungan antara dividen tidak berubah dan laba turun

dengan NPM periode satu tahun ke depan.

S e l a i n d u a h i p o t e s i s y a n g a k a n d i u ji t e r k a i t d e n g a n d i v i d e n t e r h a d a p k i n e r ja o p e r a s i o n a l p e r u s a h a a n , m a k a d i l a k u k a n p e n g u j i a n k e m b a l i u n t u k m e n g e t a h u i p e n g a r u h d i v i d e n t e r h a d a p k i n e r ja p a s a r d e n g a n m e n g g u n a k a n c u m u la tiv e a b n o r m a l

r e tu r n . H e a l y d a n P a l e p u ( 1 9 8 8 ) m e l a p o r k a n b a h w a t e r d a p a t p e n i n g k a t a n re tu r n

s e b e s a r 3 ,9 % s a a t t e r j a d i p e n g u m u m a n d i v i d e n n a i k d a n r e tu r n s a h a m t u r u n s e k i t a r 7 % s a a t p e n g u m u m a n d i v i d e n tu r u n . J o h n L a n g ( 1 9 9 1 ) j u g a m e l a p o r k a n h a s il y a n g t i d a k b e r b e d a y a i t u 3 .3 % u n t u k p e n g u m u m a n k e n a i k a n d i v i d e n . B e g i t u j u g a d e n g a n M ic h a e ly , T h a l e r d a n W o m a c k ( 1 9 9 5 ) m e l a p o r k a n b a h w a s e t e l a h t i g a h a r i p e n g u m u m a n d i v i d e n n a i k r e tu r n s a h a m m e n i n g k a t s e b e s a r 3 ,4 % d a n r e tu r n s a h a m t u r u n k e t i k a d i v i d e n m e n g a l a m i p e n u r u n a n ( R o s s 2 0 0 2 ) .

P e n e l i t i a n la in y a n g m e n u n j u k k a n h a s il y a n g b e r b e d a a d a l a h A m s a r i ( 1 9 9 3 ) , d a l a m S u a r t a m a ( 2 0 0 5 ) y a n g m e n g i n v e s t i g a s i r e a k s i p a s a r a ta s t e r j a d i n y a p e r u b a h a n d i v i d e n k a s y a n g d i b a y a r k a n p e r u s a h a a n y a n g t e r d a f t a r d i B E J . H a s i l n y a m e n u n j u k k a n b a h w a p e r u b a h a n p e m b a y a r a n d i v i d e n t i d a k b e r p e n g a r u h t e r h a d a p h a r g a s a h a m . H i p o t e s i s y a n g a k a n d i u ji a d a l a h :

H3,: Pengumuman perubahan dividen mempengaruhi CAR di sekitar tanggal

pengumuman.

P e n e l i t i a n R y a n e t a l. ( 2 0 0 2 ) d a l a m K u r n i a w a n e t a l. ( 2 0 0 5 ) m e n d u k u n g m e n g e n a i t e o r i s i n y a l d i v i d e n y a n g m e n j e l a s k a n r e a k s i h a r g a s a h a m n e g a t i f t e r h a d a p d i v id e n . P e n e l i t i a n y a n g d i la k u k a n o l e h A s q u i t h d a n M u l i n s ( 1 9 8 3 ) m e n e m u k a n b a h w a h a r g a s a h a m d a n a b n o r m a l r e tu r n y a n g d i p e r o l e h p e m e g a n g s a h a m a k a n m e n i n g k a t s a a t p e n g u m u m a m d i v i d e n n a ik . S e b a l ik n y a h a r g a s a h a m d a n a b n o r m a l

r e tu r n p e r u s a h a a n a k a n t u r u n a ta u j a t u h s a a t p e n g u m u m a n d i v i d e n tu r u n . H a s i l

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8 2 J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , J u n i 2 0 0 8 , Vol. 5, N o . J, h a l. 7 7 - 1 0 1

S e b a g a i m a n a d i j e l a s k a n s e b e lu m n y a , G u n a s e k a r a g e e t a l. ( 2 0 0 2 ) m e n d u k u n g h i p o t e s i s s i n y a l d i v i d e n d a l a m j a n g k a p e n d e k , te t a p i d a l a m j a n g k a p a n j a n g k in e r j a n y a s e i m b a n g a n t a r a p e r u s a h a a n y a n g m e n g u m u m k a n d i v i d e n n a i k d e n g a n p e r u s a h a a n

d e n g a n d i v i d e n tu r u n . D a l a m L e a s e ( 1 9 9 9 ) , t e r d a p a t p e r u s a h a a n y a n g m e n g a l a m i p e n u r u n a n la b a n a m u n t e t a p m e n a i k k a n d i v i d e n k a r e n a p e r u s a h a a n te r s e b u t in g in m e m b e r i s i n y a l b a h w a p r o f i t a b i l i t a s p e r u s a h a a n te r s e b u t a k a n te ta p b a i k d i p e r io d e b e r ik u t n y a . S in y a l m e n g e n a i p r o f it a b i l it a s t e r s e b u t s e h a r u s n y a d i r e s p o n p o s i t i f o le h p a s a r . U n t u k it u a k a n m e n a r i k u n t u k d i u ji a p a k a h a p a b i l a p e r u s a h a a n m e n g u m u m k a n d i v id e n n a ik , d a l a m k o n d is i la b a n a i k m a u p u n la b a t u r u n , m a s i n g - m a s i n g a k a n m e n y e b a b k a n p e n i n g k a t a n C A R d i s e k i t a r t a n g g a l p e n g u m u m a n .

H32: Pengumuman dividen naik dan laba naik mempengaruhi peningkatan

CAR di sekitar tanggal pengumuman.

H3,Pengumuman dividen naik dan laba turun mempengaruhi peningkatan

CAR di sekitar tanggal pengumuman.

D e n g a n k e b ij a k a n d i v i d e n n a ik , d i d u g a p a s a r a k a n b e r e a k s i p o s iti f . A l a s a n n y a a d a l a h i n v e s t o r m a s i h b e r p i k i r s e p e r t i y a n g d i u n g k a p k a n d a l a m p a n d a n g a n b i r d in

th e h a n d . I n v e s t o r l e b i h s e n a n g d e n g a n h a s il s a a t in i b e r u p a d i v i d e n y a n g s u d a h

j e l a s j u m l a h n y a d i b a n d i n g k a n d e n g a n m e n a n t i d a r i k e m u n g k i n a n k e n a i k a n h a r g a s a h a m u n t u k m e n d a p a t k a n c a p it a l g a in . S e b a l i k n y a , j i k a k e b i j a k a n d i v i d e n tu r u n b a i k d a l a m k o n d i s i la b a p e r u s a h a a n n a i k a ta u tu r u n , d i d u g a a k a n m e n y e b a b k a n r e a k s i n e g a t i f d a r i in v e s to r . S e h i n g g a h ip o te s i s n y a :

H33 Pengumuman dividen turun dan laba naik mempengaruhi penurunan

CAR di sekitar tanggal pengumuman.

H332: Pengumuman dividen turun dan laba turun mempengaruhi penurunan

CAR di sekitar tanggal pengumuman.

A t a s k e b i j a k a n d i v i d e n tu r u n , p a s a r a k a n b e r e a k s i n e g a tif . A l a s a n n y a , p e r u s a h a a n - p e r u s a h a a n y a n g m e m b a y a r k a n d i v id e n l e b i h k e c i l d i b a n d i n g s e b e l u m n y a k e m u n g k i n a n m e n g a l a m i k e s u l ita n k e u a n g a n s e p e r t i y a n g d i u n g k a p k a n d a l a m s i g n a l i n g view . S in y a l s e p e r t i in i a k a n m e m b u a t i n v e s t o r m e m i n d a h k a n i n v e s t a s i n y a k e s a h a m y a n g la i n s e h i n g g a a t a s s a h a m - s a h a m p e r u s a h a a n in i te r ja d i

k e l e b i h a n p e n a w a r a n d i b a n d i n g k a n p e r m i n t a a n ( L e a s e 1 9 9 9 ) . D a m p a k k e j a d i a n in i a k a n m e n y e b a b k a n h a r g a s a h a m m e n u r u n , d a n e x c e s s r e tu r n y a n g a k a n p e r o l e h

i n v e s t o r j u g a a k a n tu r u n .

(7)

A s t u ty , S i r e g a r. H u b u n g a n a n t a r a S i n y a l D i v i d e n T u n a i d e n g a n . 8 3

H342: Pengumuman dividen tidak berubah dan laba turun mempengaruhi

CAR di sekitar tanggal pengumuman.

A t a s k e b i j a k a n d i v i d e n t i d a k b e r u b a h , p a s a r d a p a t b e r e a k s i p o s i t i f a ta u n e g a t i f k a r e n a i n v e s t o r m e n g a n g g a p s a h a m p e r u s a h a a n y a n g m e m b a g i k a n d i v i d e n ti d a k b e r u b a h d a n r i s i k o n y a k e c i l s e h i n g g a p e r m i n t a a n a k a n s a h a m in i a k a n m e n i n g k a t.

METODE PENELITIAN

Rancangan Pengumpulan Data

U n i t a n a l i s i s d a r i p e n e l i t i a n in i a d a l a h p e r u s a h a a n . P o p u l a s i n y a a d a l a h s e lu r u h p e r u s a h a a n y a n g m e m b a g i k a n d i v i d e n d i t a h u n 2 0 0 5 . P e r u s a h a a n y a n g d ia m b il a d a l a h d a r i s e m u a i n d u s t r i k e c u a l i p e r u s a h a a n d a l a m in d u s t r i k e u a n g a n d a n i n d u s tr i

r e a l e s ta te d a n p r o p e r t i . I n d u s tr i k e u a n g a n d a n p e r b a n k a n t i d a k d i m a s u k k a n d a la m

s a m p e l k a r e n a d a l a m p e n g u k u r a n p r o f it a b i li t a s in d u s t r i p e r b a n k a n b e r b e d a d e n g a n in d u s t r i la in , y a i t u m e n g g u n a k a n r a s i o B O P O ( B e b a n O p e r a s i d i b a g i P e n d a p a t a n O p e r a s i) . I n d u s t r i r e a l e s ta te d a n p r o p e r ti j u g a t i d a k d i m a s u k k a n s e b a g a i s a m p e l k a r e n a s e b a g i a n b e s a r p e r u s a h a a n d a l a m in d u s t r i in i t i d a k m e m b a g i k a n d iv id e n . P e n e l i t i a n in i a k a n m e n g g u n a k a n s a m p e l p e r u s a h a a n y a n g d i p i l i h d a r i k e s e l u r u h a n p o p u l a s i p e r u s a h a a n p u b l i k d i B E J d a n t e r g a n tu n g p a d a k e t e r s e d i a a n d a ta u n t u k m e n g u k u r v a r i a b e l - v a r i a b e l y a n g d i g u n a k a n . P e r i o d e p e n e l i t i a n a d a l a h p e r i o d e n o n k r i s is y a i t u t a h u n 1 9 9 9 - 2 0 0 5 . T a b e l 1 b e r is i h a s i l p e m i l i h a n s a m p e l .

Tabel 1

Pemilihan Sampel

T o tal P e r u s a h a a n y a n g m e m b a g ik a n d iv id e n di 2005 146 P e r u s a h a a n y a n g te rm a s u k in d u stri p e rb a n k a n d a n a su ra n si (2 3 ) P e r u s a h a a n y a n g te rm a s u k in d u stri real e sta te d a n p ro p e rty (1 5 ) P e r u s a h a a n y a n g m e m b a g ik a n d iv id e n sa h a m sa ja _{(8 )} P e r u s a h a a n y a n g m e m b a g ik a n d iv id e n in terim sa ja (1 3 )

D a ta retu rn s sa h a m tid a k te rs e d ia _{(7 )}

D a ta tid a k te rs e d ia _{(5 )}

T o ta l S a m p e l P e r u s a h a a n 75

Metode Pengumpulan Data

P e n e l i t i a n in i a k a n m e n g a m b i l d a ta s e k u n d e r b e r u p a l a p o r a n k e u a n g a n p e r u s a h a a n s e m u a in d u s t r i k e c u a l i u n t u k in d u s t r i p e r b a n k a n d a n r e a l e s ta te

(8)

8 4 J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , J u n i 2 0 0 8 , V o l.5, N o . I, h a l. 7 7 - 1 0 1

la p o r a n k e u a n g a n 2 0 0 0 s a m p a i d e n g a n 2 0 0 5 u n t u k m e n g h i t u n g r a s i o p r o f it a b i lit a s p e r u s a h a a n . D a t a s e k u n d e r in i d i p e r o l e h d a r i I n d o n e s ia n C a p ita l M a r k e t D ir e c to r y

d a n y a n g d i p u b l i k a s i k a n d i m e d i a c e t a k I n d o n e s i a m a u p u n d i J a k a r ta S to c k

E x c h a n g e a ta u B u r s a E f e k J a k a r t a . M e t o d e y a n g d i g u n a k a n d a l a m p e n e l i t i a n in i

a d a l a h m e n g g u n a k a n r e g r e s i b e r g a n d a d a n e v e n t s tu d y .

O b s e r v a s i s a m p e l k e m u d i a n d i b a g i m e n j a d i e n a m k a t e g o r i , t e r g a n t u n g p a d a p e r u b a h a n d a l a m d i v i d e n t a h u n ( t - ( t- 1 ) ) d a n la b a t a h u n ( t + 1 ) , y a it u :

1. P e r u s a h a a n y a n g m e n g u m u m k a n k e n a i k a n d i v i d e n d a n la b a ( D N E N ) ( + ,+ ) . 2 . P e r u s a h a a n y a n g m e n g a l a m i k e n a i k a n d i v i d e n w a l a u p u n l a b a n y a t u r u n ( D N E T )

(+ ,-)•

3 . P e r u s a h a a n y a n g m e m o t o n g d i v i d e n n y a d i s a a t t e r j a d i k e n a i k a n la b a ( D T E N )

(-,+ )•

4 . P e r u s a h a a n y a n g m e n g a l a m i p e n u r u n a n d a la m d i v i d e n d a n l a b a ( D T E T ) ( - ,- ) . 5 . P e r u s a h a a n y a n g m e m b a y a r d i v i d e n d e n g a n j u m l a h y a n g s a m a d a r i s e ta h u n

s e b e lu m n y a d i m a n a l a b a m e n g a l a m i k e n a i k a n ( D T B E N ) ( 0 ,+ ) .

6 . P e r u s a h a a n y a n g m e m b a y a r d i v id e n d e n g a n j u m l a h y a n g s a m a d a r i ta h u n s e b e l u m n y a d a n m e n g a l a m i p e n u r u n a n la b a ( D T B E T ) ( 0 ,- ) .

P e n g u j i a n ta h a p k e d u a m e n g g u n a k a n c u m u la tiv e a b n o r m a l r e tu r n ( C A R ) , y a n g d i h it u n g s e b a g a i b e d a a n t a r a im b a l h a s il h a r i a n p e r u s a h a a n d a n im b a l h a s il p a s a r ( I H S G ) , d i k u m u l a t i f k a n s e s u a i d e n g a n w in d o w d a r i C A R te r s e b u t . D a t a ta n g g a l p e n g u m u m a n d i v i d e n d i p e r o l e h d a r i c o r p o r a te a c tio n d i w e b s ite w w w .j s x .c o .i d . T a n g g a l p e n g u m u m a n d i v i d e n a d a l a h t a n g g a l p a d a s a a t p e r u s a h a a n m e n g u m u m k a n b e s a r a n d i v i d e n d e n g a n b a t a s a n w a k tu h a k m e m p e r o l e h d i v id e n . P e r u s a h a a n m e n g u m u m k a n p e m b a g i a n d i v i d e n p a d a s a a t R a p a t U m u m P e m e g a n g S a h a m ta h u n a n , s e h i n g g a p e n e l i t i a n in i m e n g g u n a k a n t a n g g a l R a p a t U m u m P e m e g a n g S a h a m t a h u n a n s e b a g a i e v e n t d a te .

(9)

A s tu ty , S ire g a r , H u b u n g a n a n t a r a S i n y a l D i v i d e n T u n a i d e n g a n . 8 5

Model Penelitian

P e n g u j i a n in i m e n g g u n a k a n m o d e l p e n e l i t i a n s e b a g a i b e r ik u t :

P P t+1 = P 0 + P ,A D P S t + P 2A E P S + s

( D

P P t+1 = P0 + p ,A D P S + P 2A E P S + P 3D N E N ( + ,+ ) , + P 4D N E T ( + , - ) t + P 5D T B E N ( 0 ,+ ) , + P 6D T B E T ( 0 ,- ) t + p 7D T E N ( - ,+ ) t + p gA G E , + p 9S I Z E , + s

(

2 )

C A R , = p 0 + p , A D P S ,+ p 2A E P S ,+ p 3D N E N ( + ,+ ) , + p 4D N E T ( + , - ) t + p sD T B E N ( 0 ,+ ) , + p 6D T B E T ( 0 , - ) t + p 7D T E N ( - , + ) t + p gB M + s

( 3 )

K e te r a n g a n :

P P (+1 = P r o f i t a b i l i t a s p e r u s a h a a n d e n g a n la g w a k t u 1 t a h u n , d e n g a n m e n g g u n a k a n r a s io k e u a n g a n s e b a g a i b e r ik u t :

R O E = R a s i o la b a b e r s ih t e r h a d a p to ta l e k u i t a s N P M = R a s i o la b a b e r s i h t e r h a d a p p e n j u a l a n

C A R ( = C u m u la tiv e A b n o r m a l R e tu r n . C A R d i h i t u n g u n t u k m a s i n g -m a s i n g w in d o w 1 h a r i ( s a a t p e n g u m u m a n ) ; 3 h a r i ( t- 1 , tO, t+ 1 ) ; 7 h a r i ( t- 3 , tO, t+ 3 ) ; 11 h a r i ( t- 5 , tO, t + 5 ) , d a n 21 h a r i ( t - 10, tO, t + 1 0 ) .

A D P S , = P r e s e n t a s e p e r u b a h a n d i v i d e n t u n a i t a h u n t d e n g a n d i v id e n tu n a i t - 1

[ ( D P S . - D P S J / D P S J

A E P S , = P r e s e n t a s e p e r u b a h a n la b a t a h u n t d e n g a n la b a t - 1 [ ( E P S , - E P S J / E P S J

D N E N ,( D N E T ,) = B e r n i l a i 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n n a i k d a n la b a n a i k ( l a b a tu r u n ) , 0 la in n y a .

D T B E N t ( D T B E T t) = B e r n i l a i 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n t i d a k b e r u b a h d a n la b a n a i k ( la b a tu r u n ) , 0 la in n y a .

D T E N , = B e r n i l a i 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n t u r u n d a n la b a n a ik , 0 l a in n y a .

A G E , = U m u r p e r u s a h a a n d i m u l a i s e j a k p e r u s a h a a n t e r s e b u t g o p u b l i c

S I Z E , = U k u r a n p e r u s a h a a n (L o g T o ta l A s s e t)

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8 6 J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , J u n i 2 0 0 8 , Vol. 5, N o . l , h a l. 7 7 - 1 0 1

Operasionalisasi Variabel

B e r i k u t in i a d a l a h p e n j e l a s a n u n t u k s e ti a p v a r i a b e l y a n g d i g u n a k a n d a la m u s u l a n p e n e l i t i a n in i:

Variabel Bebas

( i) P e r u b a h a n d i v i d e n p e r l e m b a r s a h a m/ d i v i d e n d p e r s h a r e ( A D P S ) . D P S y a n g d i g u n a k a n a d a l a h d i v id e n s e la m a s a tu ta h u n , y a i t u p e n j u m l a h a n d i v id e n in te r i m d a n d i v id e n a k h ir . K a r e n a y a n g i n g in d i l i h a t a d a l a h p e r u b a h a n d a r i d i v i d e n m a k a d i v i d e n d i b a g i m e n j a d i t i g a k e l o m p o k . K e l o m p o k p e r t a m a a d a l a h p e r u s a h a a n y a n g m e n g a l a m i k e n a i k a n d i v i d e n d a r i t a h u n s e b e lu m n y a , k e l o m p o k k e d u a a d a l a h p e r u s a h a a n y a n g m e n g a l a m i p e n u r u n a n d iv id e n d a r i ta h u n s e b e l u m n y a d a n k e lo m p o k t e r a k h i r a d a l a h p e r u s a h a a n y a n g t i d a k m e n g a l a m i p e r u b a h a n d iv id e n .

Variabel Terikat

( i) P r o f i ta b il it a s P e r u s a h a a n

a . R e tu r n o n e q u ity ( R O E ) , m e r u p a k a n p e n g u k u r a n r e tu r n p e m e g a n g

s a h a m . R a s io in i m e n g h i t u n g r e tu r n s e te la h d i k u r a n g k a n d e n g a n y a n g d i b a y a r k e k r e d ito r .

„ . L a b a B e r s i h

R e tu r n o n E q u i t y ( R O E ) =

-T o ta l E k u i t a s

b . N e t p r o fit m a r g in r a tio ( N P M ) , m e r u p a k a n p e n g u k u r a n p r o f it a b i l it a s

p e r u s a h a a n d i k a i t k a n d e n g a n t i n g k a t p e n j u a l a n .

at n ^ w . , „ n i A L a b a B e r s ih

N e t P r o fit M a r g in ( N P M ) =

---P e n ju a la n

( i i) C u m u la tiv e A b n o r m a l R e tu r n

M e to d o l o g i p e n e l i t i a n d i l a k u k a n d e n g a n m e n g g u n a k a n m o d e l p a s a r u n t u k m e n g h i t u n g n o r m a l e x p e c te d r e tu r n d a n a b n o r m a l re tu r n . D a l a m h a l in i, d i g u n a k a n h a r g a s a h a m in d iv i d u a l h a r ia n d a n u n t u k k e p e r l u a n a n a l is i s

n o r m a l r e tu r n d i g u n a k a n d a ta h a r i a n I n d e k s H a r g a S a h a m G a b u n g a n

( I H S G ) . D e n g a n m e n g g u n a k a n r u m u s :

7'

C A R t = ^ A R i t

(11)

A s tu ty , S ir e g a r , H u b u n g a n a n t a r a S i n y a l D i v i d e n T u n a i d e n g a n . 8 7

D im a n a :

A R = A b n o r m a l R e tu r n , y a i t u s e li s ih a n ta r a a c tu a l r e tu r n d e n g a n e x p e c te d

re tu r n . [ A R i t = R i t - R m t J

C A R = P e n j u m l a h a n a b n o r m a l r e tu r n d a la m p e r i o d e p e r i s t i w a u n t u k m a s i n g - m a s i n g s e k u r it a s .

Variabel Kontrol

( i) P e r u b a h a n E a r n in g s p e r S h a r e ( A E P S )

D e f i n is in y a a d a l a h la b a b e r s ih s e t e l a h d i k u r a n g d i v i d e n p r e f e r e n ta p i s e b e lu m p o s lu a r b i a s a , d i b a g i j u m l a h s a h a m y a n g b e r e d a r . E P S d i k e l o m p o k k a n m e n j a d i d u a y a it u : ( 1 ) p e r u s a h a a n y a n g m e n g a l a m i k e n a i k a n E P S d i b a n d in g ta h u n s e b e l u m n y a d a n ( 2 ) p e r u s a h a a n y a n g m e n g a l a m i p e n u r u n a n E P S d i b a n d i n g k a n t a h u n s e b e l u m n y a .

L a b a B e r s ih

i j 1 i j —

J u m la h S a h a m B e r e d a r

V a r ia b e l y a n g d i g u n a k a n a d a l a h p r e s e n t a s e p e r u b a h a n l a b a ta h u n t d e n g a n l a b a t-1 [ ( E P S t - E P S , ,) /E P S ( ,].

( ii) U k u r a n P e r u s a h a a n ( S I Z E )

U k u r a n p e r u s a h a a n m e n g g u n a k a n n i l a i lo g d a r i t o t a l a k ti v a . U k u r a n p e r u s a h a a n d a p a t m e m a i n k a n p e r a n d a l a m m e n e n t u k a n b a g a i m a n a p e r u s a h a a n m e r e s p o n p e n g u m u m a n d i v i d e n p e s a i n g n y a , k a r e n a u k u r a n p e r u s a h a a n d a p a t m e n j a d i p r o x y d a r i t e r s e d i a n y a i n f o r m a s i , d i m a n a in f o r m a s i u n t u k p e r u s a h a a n b e s a r le b ih b a n y a k te r s e d i a b a g i i n v e s t o r ( S i r e g a r 2 0 0 5 ) . D u g a a n n y a a d a l a h p e r u s a h a a n b e s a r a k a n m e m b e r i s i n y a l a t a u i n f o r m a s i y a n g le b i h d i b a n d i n g k a n p e r u s a h a a n k e c i l.

( ii i) U m u r P e r u s a h a a n ( A G E )

U m u r p e r u s a h a a n a d a l a h s e ja k p e r u s a h a a n t e r d a f t a r m e n j a d i p e r u s a h a a n p u b l i k s a m p a i d e n g a n 2 0 0 5 . D u g a a n n y a a d a l a h d e n g a n s e m a k i n tu a n y a u m u r p e r u s a h a a n m a k a h u b u n g a n n y a d e n g a n p r o f i t a b i l i t a s a k a n s e m a k i n s ta b il d i b a n d i n g k a n p e r u s a h a a n b a r u y a n g m a s i h d a l a m f a s e b e r tu m b u h . ( i v ) R a s io N i l a i B u k u E k u i ta s t e r h a d a p N il a i P a s a r E k u i t a s

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8 8 J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , J u n i 2 0 0 8 , V o l.5, N o . l , h a l. 7 7 - 1 0 1

d a n d i m e n s i r i s i k o la in d i - p r o x y d e n g a n r a s io n ila i b u k u e k u i t a s t e r h a d a p n ila i p a s a r ( B M ) . R i s i k o y a n g d i u k u r d e n g a n B M m e n u n j u k k a n f a k t o r re la tiv e

d is tr e s s . P e r u s a h a a n y a n g d i n il a i m e m i li k i p r o s p e k le m a h d i s i n y a l k a n

d e n g a n h a r g a s a h a m r e n d a h d a n B M ti n g g i.

ANALISIS HASIL

T a b e l 2 , 3 , 4 , d a n 5 m e n y a j i k a n s t a t is t ik d e s k r i p t i f a ta s s a m p e l . D a r i s a m p e l y a n g d i a m b il , t e r d a p a t 3 9 f i r m y e a r s ( 1 2 % ) y a n g b e r k a t e g o r i p e r u s a h a a n d e n g a n d i v id e n t i d a k b e r u b a h d a n l a b a n a ik . S e d a n g k a n y a n g p a l i n g b a n y a k a d a l a h s e b e s a r

81 f i r m y e a r s ( 2 4 % ) y a n g b e r k a t e g o r i p e r u s a h a a n d e n g a n d i v i d e n n a i k d a n la b a

tu r u n . H a l in i m e n u n j u k k a n m e s k i p u n p e r u s a h a a n m e n g a l a m i p e n u r u n a n la b a te ta p i p e r u s a h a a n t e t a p m e n e r a p k a n k e b ij a k a n d i v id e n n a ik . D u g a a n n y a a d a l a h b a h w a p e r u s a h a a n t i d a k m a u m e n s i n y a l k a n b a d n e w s b a g i in v e s to r .

S e l a n ju t n y a , a d a 6 2 f i r m y e a r s ( 1 8 % ) y a n g b e r k a t e g o r i p e r u s a h a a n d e n g a n d i v i d e n n a i k d a n l a b a n a i k ( D N E N ) ; 5 9 f i r m y e a r s ( 1 7 % ) y a n g b e r k a t e g o r i p e r u s a h a a n d e n g a n d i v i d e n t u r u n d a n la b a n a ik ( D T E N ) ; 5 5 f i r m y e a r s ( 1 6 % ) y a n g b e r k a t e g o r i p e r u s a h a a n d e n g a n d i v i d e n t i d a k b e r u b a h d a n l a b a t u r u n ( D T B E T ) ; 4 4

f i r m y e a r s ( 1 3 % ) y a n g b e r k a t e g o r i p e r u s a h a a n d e n g a n d i v i d e n t u r u n d a n l a b a t u r u n

( D T E T ) .

Tabel 2

Statistik Deskriptif- Model 1 dan Model 2

R O E N P M D N E N D N E T D T E N D T E T D T 8 E N D T B E T A D P S A E P S S I Z E A G E

M tta n 1 1 .9 9 2 8 9 0 . 0 6 4 3 4 5 0 .1 8 2 8 9 1 0 . 2 3 8 9 3 8 0 , 1 7 4 0 4 1 0 ,1 2 6 8 4 4 0 .1 1 5 0 4 4 0 . 1 6 2 2 4 2 • 0 . 0 3 2 4 4 8 • 0 . 0 5 8 4 0 7 5 ,8 3 0 1 3 2 1 ,1 1 3 0 2 3

M e tiia ii 9 . 7 5 0 .0 5 2 3 5 7 0 0 0 0 0 0 0 -0.1 5 ,7 7 7 7 4 6 1 ,1 4 6 1 2 8

M axim um 6 6 . 2 7 0 .3 8 9 9 7 1 1 l 1 1 1 l 3 1 l . l 7 ,7 0 1 4 2 3 1 ,4 3 1 3 6 4

M in im u m - 5 0 , 4 3 • 0 , 2 0 6 5 3 8 0 0 0 0 0 0 • 1 • 1 6 4 , 1 2 5 2 8 6 0 ,6 9 8 9 7

St d Otv. 1 5 .3 0 0 5 2 0 . 0 8 0 4 9 9 0 , 3 8 7 1 4 8 0 . 4 2 7 0 6 5 0 .3 7 9 7 0 5 0 . 3 3 3 2 9 0 .3 1 9 5 4 7 0 . 3 6 9 2 1 8 0 . 9 5 5 5 8 6 1 .9 3 9 8 3 7 0 .5 9 0 3 9 3 0 .1 7 1 9 0 2

S k c H itru 0 . 2 0 2 2 7 2 0 .4 4 7 2 3 1 .6 4 0 6 1 , 2 2 4 3 9 3 1 .7 1 9 4 4 1 2 ,2 4 2 5 4 1 2 . 4 1 2 9 4 6 1 .8 3 2 2 9 3 3 .3 0 4 0 9 9 - 1 . 0 2 2 3 7 8 0 . 3 1 6 2 0 6 • 0 . 3 8 6 2 8 7

K iirto s is 5 .3 6 1 8 5 3 4 . 4 0 4 0 8 2 3 . 6 9 1 5 6 9 2 . 4 9 9 1 3 9 3 .9 5 6 4 7 7 6 ,0 2 8 9 9 1 6 ,8 2 2 3 0 8 4 . 3 5 7 2 9 8 2 2 . 6 8 0 5 8 2 3 . 3 2 0 1 4 3 . 3 9 9 8 2 1 2 .6 2 9 3 8 2

Jart}ut’‘ B rra 8 1 , 1 0 5 8 4 3 9 . 1 4 7 5 1 1 5 8 .8 2 9 2 8 8 . 2 4 4 7 6 1 7 9 .9 6 3 2 4 1 3 . 7 3 1 9 5 3 5 .3 2 7 1 2 1 5 , 7 0 9 3 6 0 8 7 . 7 8 3 5 8 9 1 .3 8 4 7 .9 0 7 1 9 8 1 0 .3 7 0 9 7

P ro b a b ility 0 0 0 0 0 0 0 0 0 0 0 , 0 1 9 1 8 6 0 . 0 0 5 5 9 7

Sum 4 0 6 5 . 5 9 2 1 , 8 1 3 0 2 6 2 8 1 5 9 4 3 3 9 5 5 - I I - 1 9 . 8 1 9 7 6 ,4 1 5 3 7 7 . 3 1 4 7

Sum Stf. Dev. 7 9 1 2 7 . 8 5 2 . 1 9 0 2 8 3 5 0 . 6 6 0 7 7 6 1 . 6 4 6 0 2 4 8 . 7 3 1 5 6 3 7 .5 4 5 7 2 3 4 , 5 1 3 2 7 4 6 . 0 7 6 7 3 0 8 .6 4 3 1 1 2 7 1 ,8 8 4 1 1 7 .8 1 4 6 9 ,9 8 7 9 7 3

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A s tu ty , S ir e g a r , H u b u n g a n a n t a r a S i n y a l D iv i d e n T u n a i d e n g a n .. . 8 9

T a b e l 3 P r o p o r s i D u m m y

Proporsi

Dummy

= 1

Dummy

= 0

D N E N 1 8 % 8 2 %

D N E T 2 4 % 7 6 %

D T E N 1 7 % 8 3 %

D T E T 1 3 % 8 7 %

D T B E N 1 2 % 8 8 %

D T B E T 1 6 % 8 4 %

K e te ra n g a n :

R O E = r a s i o l a b a b e r s i i t e r h a d a p t o t a l e k u i t a s

N P M = r a s i o l a b a b e r s i n t e r h a d a p p e n j u a l a n

D N E N = 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n n a i k d a n l a b a n a i k d a n 0 l a i n n y a

D N E T = 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n n a i k d a n l a b a t u r u n d a n 0 l a i n n y a

D T B E N = 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n t i d a k b e r u b a h d a n l a b a n a i k d a n 0 l a i n n y a

D T B E T = 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n t i d a k b e r u b a h d a n l a b a t u r u n d a n 0 l a i n n y a

D T E N = 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n t u r u n d a n l a b a t u r u n d a n 0 l a i n n y a

A D P S = p r e s e n t a s e p e r u b a h a n d i v i d e n p a d a t a h u n t d e n g a n t a h u n t- 1

A E P S = p e r s e n t a s e p e r u b a h a n l a b a p a d a t a h u n t d e n g a n t a h u n t- 1

A G E = u m u r p e r u s a h a a n

S I Z E = u k u r a n p e r u s a h a a n

Tabel 4

Statistik Deskriptif - Model 3

CAHO CAJU CAR7 CARI I U U I DNEN DNET DTBEN DTBET DTEN DTKT PDPS PEPS SM

Stnmi 0.W9II9 • 0.UU0J6 -0,01)67 • 0.0202) • 0.016)2 0.IIU06 0,19)2)7 0.1642)1 0,17)91) 0.17)91) 0.10621 0.021744 • 0.1)19) 1.2 MW

,1 MiM -O.OOIII -0.W349 • 0.016)7 • 0,01116 -0.02125 0 0 0 0 0 0 • 0.0) 0.917606

■ »— 0.10JI34 0J992D o.2«i9v9 0.4)0774 1 1 1 1 1 J 7.) 9.2» 0,01)920

M-mmtim ■0,09226 • 0.122)6 -0,19767 • 0,27346 -0,)I688 0 0 0 0 0 0 • 1 -24 .)) • 1.47781

M . Pvr 0 ,0 2 4 »} 0.0-1 >534 0,06.1204 0.072W 0.10)42) 0.)9I9I4 0J93794 0,)7I402 0.)799)4 0.)7¥9)4 O.)0KM.l 0.114069 2.7948)4 1.10)21

Shiwmr i. 0,6311)9 0.014162 0.26345J • 0.2)371 0.)99II5 1.39)68« l.)))8 7 ) 1.112)9) 1.720618 1.72'KII 2,)34»V7 4.1172)7 • ).8270l 2.044)23

KuiWi h 6.9028(9 ).02MUI 4.242671 4,1102)) ).0T7994 ),))9 S)) ).4I4)2 I 4.214767 ).900326 ),900)26 7,52801 )I .)IT7 | )).)J4 0 » 8.75)3)7

Jniyue-Btru l)0.)948 5I.S01 15.7)022 I2.V4B09 42.7)117 90.1)71) 14,71299 127,361) 110.1T?)7 110.09)7 442.03)0 7).»).,»99 9 ))4 ,)l2 4)2.09)1

ProbabiUiy 0 0 0.000)1 O.OOIII) 0 0 0 0 0 0 0 0 0 0

S u m 0,024)07 • 0.116*4 • 2.82996 .4.1110 • ),)774) )9 40 34 y> 22 ),9) • 27.JI j m V i j

S u m S i/

O* » 0.1270)6 0.420916 0,822912 1.079707 2.21949 )l , 0)217 )2.2703) 28.41)46 29.7)91) 29,7)91) 19.06IJN 101,32)7 IMI9.ll» 2)1.638)

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T a b e l 5 P r o p o r s i D u m m y

Proporsi

Dummy

= 1

Dummy =

0

D N E N 1 9 % 8 1 %

D N E T 1 9 % 8 1 %

D T E N 1 7 % 8 3 %

D T E T 1 1 % 8 9 %

D T B E N 1 6 % 8 4 %

D T B E T 1 7 % 8 3 %

K e te ra n g a n :

C A R O = c u m u l a t i v e a b n o r m a l r e t u r n p a d a t a n g g a l p e n g u m u m a n d i v i d e n

C A R 3 = c u m u l a t i v e a b n o r m a l r e t u r n s a t u h a r i s e b e l u m d a n s a t u h a r i s e s u d a h p e n g u m u m a n d i v i d e n

C A R 7 = c u m u l a t i v e a b n o r m a l r e t u r n t i g a h a r i s e b e l u m d a n t i g a h a r i s e s u d a h p e n g u m u m a n d i v i d e n

C A R 1 1 = c u m u l a t i v e a b n o r m a l r e t u r n l i m a h a r i s e b e l u m d a n l i m a h a r i s e s u d a h p e n g u m u m a n d i v i d e n

C A R 2 1 = c u m u l a t i v e a b n o r m a l r e t u r n s e p u l u h h a r i s e b e l u m d a n s e p u l u h h a r i s e s u d a h

p e n g u m u m a n d i v i d e n

D N E T - 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n n a i k d a n l a b a t u r u n d a n 0 l a i n n y a

D T E N = 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n t u r u n d a n l a b a t u r u n d a n 0 l a i n n y a

A D P S = p r e s e n t a s e p e r u b a h a n d i v i d e n p a d a t a h u n t d e n g a n t a h u n t- 1

A E P S = p e r s e n t a s e p e r u b a h a n l a b a p a d a t a h u n t d e n g a n t a h u n t - 1

Hubungan Sinyal Perubahan Dividen dengan Kinerja Operasional

H a s i l p e n g u j i a n h i p o t e s i s H l a d a n H l b p a d a T a b e l 6 m e n u n j u k k a n b a h w a p e r u b a h a n d i v i d e n b e r h u b u n g a n d e n g a n p r o f it a b i li t a s p e r u s a h a a n . H a s i l p e n g u ji a n H l a m e n u n j u k k a n F - s ta tis tic y a n g s i g n if ik a n d e n g a n p- v a lu e s e b e s a r 0 .0 0 0 d a n

d e n g a n A d j u s t e d R - s q u a r e d 5 % y a n g a r t in y a p e r u b a h a n d i v i d e n d a p a t m e n j e l a s k a n v a r ia s i R O E s e b e s a r 5 % u n t u k p e r i o d e s a tu ta h u n k e d e p a n . P e r u b a h a n d i v id e n d a p a t

m e n s i n y a lk a n k i n e r j a p e r u s a h a a n s a t u t a h u n k e d e p a n d a n h a s i l n y a m e n d u k u n g a d a n y a h u b u n g a n a n t a r a p e r u b a h a n d i v i d e n d e n g a n r a s io la b a b e r s i h t e r h a d a p

(15)

(16)

9 2 J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , J u n i 2 0 0 8 , Vol. 5, N o . I , h a l. 7 7 - 1 0 1

u n t u k p e r s a m a a n 2 b d i p e r o l e h a d j u s t e d R - s q u a r e d s e b e s a r 1 7 % . H a s il p e n g u ji a n j u g a m e n u n j u k k a n t e r d a p a t h u b u n g a n a n t a r a d i v i d e n n a i k d e n g a n p e n i n g k a t a n p r o f it a b i li t a s p e r u s a h a a n ( R O E d a n N P M ) p e r io d e s a tu t a h u n k e d e p a n .

H a s i l in i k o n s i s t e n d e n g a n p e n e l i t i a n B e n a r t z i e t a l. ( 1 9 9 7 ) d a n N i s s i m e t a l. ( 1 9 9 9 ) b a h w a d i v i d e n n a i k m e m b e r i k a n s i n y a l p o s i t i f d e n g a n p e n i n g k a t a n p r o f it a b i lit a s p e r u s a h a a n u n t u k p e r io d e s a tu ta h u n k e d e p a n . H a s il d a r i a n a l is i s h u b u n g a n d a l a m p e n e l i t i a n in i k o n s i s t e n d e n g a n p e n e l i t i a n s e b e l u m n y a y a n g b e r a r ti b a h w a h i p o t e s i s

H2a,

, d a n

H2b,

, d i te r i m a . H a s il p e n g u j i a n h i p o t e s i s

H2a12

d a n

H2b,2

m e n u n j u k k a n b a h w a p e r u s a h a a n d e n g a n k e t e g o r i D N E T ( d i v i d e n n a i k d a n l a b a tu r u n ) m e m ili k i k o e f i s i e n y a n g s i g n if i k a n s i n y a l e b i h le m a h j i k a d i b a n d i n g k a n d e n g a n p e r u s a h a a n d e n g a n k a te g o r i D N E N ( d iv i d e n n a i k d a n l a b a n a ik ) . A r tin y a d i v i d e n n a i k a k a n l e b i h b e r h u b u n g a n p o s i t i f d e n g a n p r o f i t a b i l i t a s s a tu t a h u n k e d e p a n a p a b i l a la b a p e r u s a h a a n j u g a n a i k d i b a n d i n g k a n a p a b i l a l a b a n y a tu r u n .

P e n g u j i a n h i p o te s i s

H2a21

d a n

H2b2

, m e n u n j u k k a n h a s il y a n g b e r b e d a d e n g a n d u g a a n y a i t u b a h w a k a t e g o r i p e r u s a h a a n D T E N a k a n m e m b e r i k a n s in y a l b u r u k t e r h a d a p p r o f it a b i lit a s p e r u s a h a a n . J a d i w a la u p u n d i v i d e n y a n g d i u m u m k a n t u r u n te t a p i p r o f it a b i lit a s p e r u s a h a a n p e r io d e b e r i k u t n y a j u s t r u m e n i n g k a t . H a s il in i b e r b e d a d e n g a n p e n e l i t i a n y a n g d i l a k u k a n o l e h A h a r o n y e t a l. ( 1 9 8 0 ) y a n g m e n y a t a k a n b a h w a t e r d a p a t h u b u n g a n a n t a r a k e b i j a k a n d i v i d e n t u r u n d e n g a n m e n u r u n n y a p r o f it a b i l it a s p e r u s a h a a n . K e b i j a k a n p e r u s a h a a n u n t u k m e n u r u n k a n d i v id e n , d i a k i b a tk a n p e r u s a h a a n m e n g a l o k a s i k a n d a n a le b i h n y a u n t u k m e l a k u k a n i n v e s ta s i, d a n h a s il i n v e s ta s i te r s e b u t b a r u d a p a t t e r l i h a t d e n g a n m e n i n g k a t n y a p r o f it a b i li t a s p e r u s a h a a n s a tu t a h u n k e d e p a n .

H ip o te s is

H2a22

d a n

H2b22

a d a l a h u n t u k k a te g o r i p e r u s a h a a n d e n g a n d i v id e n t u r u n d a n la b a t u r u n , k a te g o r i in i m e r u p a k a n k a t e g o r i te r b u r u k s e h i n g g a m e n j a d i d a s a r d a r i d u m m y . H u b u n g a n n y a d e n g a n R O E d a n N P M m e n u n j u k k a n h a s il y a n g s a m a y a i t u b e r h u b u n g a n n e g a t i f , a r t i n y a p e r u s a h a a n d e n g a n k a t e g o r i d iv i d e n t u r u n d a n la b a t u r u n b e r h u b u n g a n d e n g a n m e n u r u n n y a k i n e r j a p e r u s a h a a n p e r io d e s a t u ta h u n k e d e p a n . H a s il in i k o n s i s t e n d e n g a n p e n e l i t i a n y a n g d i l a k u k a n o l e h A h a r o n y e t a l. ( 1 9 8 0 ) d a n K u m i a w a n e t a l. ( 2 0 0 5 ) .

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T a b e l 7

A n a lis is H a s i l R e g r e s i M o d e l 2

PP, „ = a +P, ADPS, + P, AEPS, + Pj DNEN( +, +) , + PJDNET( +, - ) , + p, DTBEN( 0, +) , + p, DTBET( 0, - ) , + p, DTEN( - , +) 1 + P, AGE, + p, SI ZE, + t

Variable H ip o te s a

A . R e tu r n o n E q u ity ( R O E (+I)

C o effic ie n t t-S ta tistic p v alue

C -4 4 ,6 6 0 8 -4,9111 0 ,0 0 0 0

A D P S , I .+ /-_a 1,7728 2 ,0 6 4 8 0 ,0 3 9 7 * *

A E P S , + 1,1874 3 ,0 4 8 8 0 ,0 0 2 5 * * *

D N E N _2al.r+ 8,8 9 8 8 3,2 041 0 ,0 0 1 5 * * *

D N E T _{2al 2’+} 5 ,9 5 2 6 2 ,2 4 0 4 0 ,0 2 5 7 * * *

D T B E N _{2 * , .+ / -} 3,0 8 0 3 0 ,9 9 6 9 0 ,3 1 9 5

D T B E T _{2 * r + /-} 2 ,1 6 8 4 0 ,7 6 6 2 0,4441

D T E N _{2 * , -} 7 ,8 9 4 6 2 ,7 6 2 5 0 ,0 0 6 1 * * *

A G E + 17,8757 4 ,0 0 0 7 0 ,0 0 0 1 * * *

S IZ E + 5 ,4 4 6 6 4 ,1 2 1 4 0 ,0 0 0 0 * * *

N 33 9

A d ju s te d R -sq u a re d 0 ,1 8 1 5

F -Sta tistic 9 ,3 3 0 6

p va lue (F -statistic) 0 ,0 0 0 0

D u rb in -W a tso n sta t 1,8307

B . N e t P ro fit M a rg in ( N P M ,+I)

C - 0 ,1 2 8 4 -2 ,6 6 4 1 0,0081

A D P S , 1 b.+ /- 0 ,0 1 3 7 3 ,0 1 5 2 0 ,0 0 2 8 * * *

A E P S t + 0,0071 3 ,4 5 3 8 0 ,0 0 0 6 * * *

D N E N 2 b l . l . + 0 ,0 6 9 6 4 ,7 2 8 6 0 ,0 0 0 0 * * *

D N E T 2 b l.2 .+ 0,0 3 4 5 2 ,4 5 3 9 0 ,0 1 4 7 * * *

D T B E N 2 b 3 .1 .+ /- 0 ,0 3 3 9 2,0 6 8 1 0 ,0 3 9 4 * *

D T B E T 2 b 3 .2 .+ /- 0 ,0 1 8 9 1,2632 0 ,2 0 7 4

D T E N 2 b 2 . 1 0 ,0 4 5 9 3 ,0 3 4 2 0 ,0 0 2 6 * * *

A G E + 0,0 263 1,1095 0 ,2 68

S IZ E + 0 ,0 2 2 0 3 ,1 4 5 2 0 ,0 0 1 8 * * *

N 3 3 9

A d ju ste d R -sq u a re d 0 ,1 7 0 0

F -Sta tistic 8,6921

p va lue (F -statistic) 0 ,0 0 0 0

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9 4 J u r n a l A k u n t a n s i d a n K e u a n g a n I n d o n e s i a , J u n i 2 0 0 8 , Vol. 5, N o . I , h a l. 7 7 - 1 0 1

V a r i a b e l d e p e n d e n :

R O E = r a s i o l a b a b e r s i h t e r h a d a p t o t a l e k u i t a s

N P M = r a s i o l a b a b e r s i h t e r h a d a p p e n j u a l a n

V a r i a b e l i n d e p e n d e n :

D N E T = 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n n a i k d a n l a b a t u r u n d a n 0 l a i n n y a

D T E N = 1 j i k a p e r u s a h a a n d e n g a n d i v i d e n t u r u n d a n e a r n i n g s t u r u n d a n 0 l a i n n y a

A D P S = p r e s e n t a s e p e r u b a h a n d i v i d e n p a d a t a h u n t d e n g a n t a h u n t - 1

A E P S = p e r s e n t a s e p e r u b a h a n l a b a p a d a t a h u n t d e n g a n t a h u n t - 1 .

V a r i a b e l k o n t r o l :

A G E = l o g A g e , u m u r p e a i s a h a a n s e j a k g o p u b l i c h i n g g a 2 0 0 5 S I Z E = l o g t o t a l a s s e t, u k u r a n p e r u s a h a a n .

J u m l a h N s e t e l a h d a t a o u t l i e r d i k e l u a r k a n d e n g a n k r i t e r i a ± 3 k a l i s t a n d a r d e v i a s i . * * * s i g n i f i k a n 1 %

* * s i g n i f i k a n 5 %

d e p a n p e r u s a h a a n . H a s i l y a n g s a m a j u g a d i h a s i l k a n d a l a m p e n e l i t i a n B e n a r tz i ( 2 0 0 3 ) y a n g m e n y a t a k a n b a h w a t i d a k t e r d a p a t h u b u n g a n a n t a r a d i v i d e n ti d a k b e r u b a h d e n g a n p r o f it a b i l it a s p e r u s a h a a n .

J o h n e t a l. ( 1 9 8 7 ) s a a t m e l a k u k a n p e n e l i t i a n m e n g e n a i d i v i d e n y a n g m e m b e r i k a n s in y a l p a d a to ta l e k u i t a s m e n g g u n a k a n u m u r p e r u s a h a a n s e b a g a i v a r i a b e l k o n tr o l . D u g a a n n y a a d a l a h p e r u s a h a a n m u tu r e y a n g m e n g u m u m k a n

d iv i d e n a k a n b e r b e d a in t e r p r e t a s i n y a d e n g a n p e r u s a h a a n y a n g g r o w th . D a r i h a s il p e n g u j i a n p a d a T a b e l 7 d i p e r o l e h b a h w a d i v i d e n s e c a r a s i g n i f i k a n m e m b e r i k a n s i n y a l y a n g b e r b e d a u n t u k p e r u s a h a a n y a n g s u d a h g o p u b l i c l a m a d e n g a n p e r u s a h a a n

y a n g m a s i h b e r k e m b a n g . H a s i l n y a a d a l a h t e r d a p a t b u k ti t e r d a p a t h u b u n g a n a n ta r a u m u r p e r u s a h a a n d e n g a n p r o f it a b i lit a s r a s io R O E . T e ta p i, u n t u k r a s i o la b a b e r s ih t e r h a d a p p e n ju a l a n t i d a k t e r d a p a t b u k ti b a h w a u m u r p e r u s a h a a n b e r h u b u n g a n d e n g a n p r o f it a b i l it a s r a s io N P M . U n t u k v a r i a b e l k o n t r o l u k u r a n p e r u s a h a a n t e r l i h a t b a h w a u k u r a n p e r u s a h a a n b e r h u b u n g a n s i g n if ik a n d e n g a n m e n i n g k a t n y a r a s io

p r o f i t a b i l i t a s y a i t u R O E d a n N P M .

Sinyal Perubahan Dividen terhadap Kinerja Pasar

S e p e r ti d i t u n j u k k a n p a d a 'T a b e l 8 , s e m u a u ji F m e n u n j u k k a n h a s i l y a n g t i d a k s ig n if i k a n . D e m i k ia n j u g a p e n g u j i a n a ta s m a s i n g - m a s i n g k o e f i s i e n m e n u n j u k k a n b a h w a p e r u b a h a n d i v i d e n t i d a k b e r p e n g a r u h s e c a r a s i g n if i k a n p a d a C A R O , C A R 3 d a n C A R 7 , s e d a n g k a n p e r u b a h a n d i v id e n u n t u k C A R I 1 d a n C A R 2 1 m e n u n j u k k a n

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C A R 2 1 s a ja . A l a s a n n y a b a h w a p a s a r s u d a h m e n g e t a h u i in f o r m a s i p e n g u m u m a n

d i v i d e n s a a t p e r u s a h a a n m e n y a m p a i k a n u n d a n g a n r a p a t u m u m p e m e g a n g s a h a m d a n d i b e r i t a h u k a n s a l a h s a tu a g e n d a n y a a d a l a h p e n g u m u m a n p e m b a g i a n d iv id e n .

I n f o r m a s i y a n g d i t a n g k a p o l e h i n v e s to r a d a y a n g p a d a s a a t p e n g u m u m a n d i r a p a t u m u m p e m e g a n g s a h a m d a n a d a y a n g m e m p e r o l e h i n f o r m a s i t e r s e b u t te r l e b i h d a h u l u p a d a s a a t u n d a n g a n r a p a t u m u m p e m e g a n g s a h a m a k i b a t n y a r e a k s i y a n g d i l a k u k a n o l e h i n v e s t o r te r s e b u t b e r a g a m . H a l in i s e s u a i d e n g a n p e n j e l a s a n o le h

H a r t o n o ( 1 9 9 8 ) b a h w a u n t u k w a k t u s a t u h a r i d i s e k e l i l i n g d a n t i g a h a r i d i s e k e lil in g p e n g u m u m a n d i v i d e n , m a s i h t e r l a l u p e n d e k u n t u k i n f o r m a s i te r s e b u t d i s e r a p p a s a r .

P e n g u j i a n u n t u k h i p o t e s i s H 3 2 , d a n H 3 2 2 m e n u n j u k k a n b a h w a p e n g u m u m a n d i v i d e n n a i k ( la b a n a i k m a u p u n la b a tu r u n ) t i d a k m e m p e n g a r u h i p e n i n g k a t a n C A R u n t u k s e m u a w in d o w , k e c u a l i u n t u k H 3 2 2 p a d a C A R I 1 d a n C A R 2 1. M e s k i p u n H 3 2 2

u n t u k C A R 1 1 d a n C A R 2 1 d i p e r o l e h h a s il y a n g s i g n i f i k a n , t e t a p i t a n d a k o e f is i e n t i d a k s e s u a i d e n g a n p r e d i k s i. J a d i , p e n g u m u m a n d i v i d e n n a i k d e n g a n la b a t u r u n m e m p e n g a r u h i p e n i n g k a t a n C A R li m a h a r i s e b e l u m d a n s e s u d a h serLa s e p u l u h

h a r i s e b e l u m d a n s e s u d a h t a n g g a l p e n g u m u m a n . H a l in i k a r e n a p a d a k e n y a t a a n n y a i n v e s t o r a d a l a h b e r b e d a - b e d a d a p a t b e r u p a i n v e s t o r i n d i v i d u a l a t a u p u n in s ti tu s i. I n v e s t o r in d i v i d u a l p u n b e r b e d a - b e d a d a la m h a l u m u r d a n g o l o n g a n k e la s . P e r b e d a a n

in i m e n y e b a b k a n p e r b e d a a n p r e f e r e n s i m e r e k a t e r h a d a p t i n g g i n y a d i v id e n . I n v e s t o r y a n g la n j u t u s i a d a n p e n g h a s i l a n n y a h a n y a t e r g a n t u n g d a r i d i v i d e n m u n g k i n a k a n

m e n y u k a i d i v i d e n y a n g t i n g g i . A k a n te ta p i i n v e s t o r d e n g a n p e n g h a s i l a n y a n g s u d a h t i n g g i a k a n m e n y u k a i p e m b a g i a n d i v i d e n y a n g r e n d a h , k a r e n a j ik a m e r e k a m e n e r i m a d i v i d e n , m e r e k a h a r u s m e n g e l u a r k a n b i a y a t r a n s a k s i . H a l in i m e n d u k u n g te o r i

M i l l e r d a n M o d l i g i a n i ( 1 9 6 1 ) m e n y e b u t b a h w a d i v i d e n s i f a t n y a t i d a k r e le v a n . P e n g u j i a n a ta s h i p o t e s a H 3 31 d a n H 3 32 m e n u n j u k k a n h a s i l y a n g t i d a k s i g n i f i k a n u n t u k s e m u a C A R , k e c u a l i u n t u k C A R O . H a l in i m e n u n j u k k a n b a h w a

d i v i d e n t u r u n m e m p e n g a r u h i p e n u r u n a n C A R p a d a ta n g g a l p e n g u m u m a n . P e n g u j ia n h i p o t e s i s H 3 4 , d a n H 3 4 2 j u g a m e n u n j u k a n h a s il y a n g s e r u p a y a i t u h a n y a s i g n if i k a n u n t u k C A R O . H a l in i j u g a b e r a r ti b a h w a d i v id e n t i d a k b e r u b a h m e m p e n g a r u h i C A R

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T a b e l 8

A n a lis is H a s il R e g r e s i M o d e l 3

M o d e l ; C A R - P o + P 1 A D P S + P 2 A E P S + P 3 D N E N + P 4 D N E T + P 5 D T B E N + p 6 D T B E T + p 7 D T E N + P 8 B M + e

P° P» P2 P3 P* P5 P6 _P? _P»

P a n e l A : w in d o w u n tu k C A R O p a d a s a a t p e n g u m u m a n d iv i d e n ( i B 0 )

K o e f i s i e n 0 ,0 1 5 1 0 ,0 0 0 3 0 1 0 ,0 0 0 4 0 1 - 0 , 0 1 2 6 - 0 ,0 0 5 8 9 6 - 0 , 0 1 5 8 - 0 , 0 2 0 0 0 2 '0 , 0 1 8 2 0 ,0 0 0 6

t- v a tu e 2 ,0 0 4 6 0 ,2 1 5 9 1 ,5 6 9 5 - 1 , 4 4 7 8 - 0 ,6 7 4 9 - 1 , 7 3 8 6 - 2 , 2 4 6 6 * 2 ,0 1 9 4 0 ,2 9 4 8

l>-va!ue 0 , 0 4 6 3 0 ,8 2 9 3 0 , i 18 0 ,1 4 9 1 0 , 5 0 0 4 0 ,0 8 3 5 0 ,0 2 5 7 * 0 ,0 4 4 7 * * 0 , 7 6 8 4

a d j .R : 0 , 0 1 1 4 2 9 ( F = 1 , 3 2 3 7 0 6 )

P a n e l B : w in d o w u n t u k C A R 3 s a t u h a r i s e b e l u m d a n s a t u h a r i s e s u d a li p e n g u m u m a n d iv i d e n ( t - 1 . 0 , t+ 1 )

K o e f is ie n 0 ,0 1 0 8 0 , 0 0 0 1 0 , 0 0 0 6 - 0 .0 1 1 4 - 0 .0 0 1 6 - 0 , 0 1 5 5 - 0 , 0 1 0 8 - 0 ,0 0 5 3 0 , 0 0 4 2

l- v a l u e 0 ,4 1 4 9 0 ,4 3 8 3 1 ,4 0 4 2 - 0 ,7 7 1 -0 ,1 1 1 - 1 , 0 0 3 8 9 6 - 0 , 7 1 8 3 0 3 - 0 , 3 4 6 1 ,1 5 8 0 0 2

R v a l u e 0 ,6 7 8 6 0 ,6 6 1 6 0 ,1 6 1 7 0 ,4 4 1 5 0 , 9 1 1 7 0 ,3 1 6 6 0 ,4 7 3 3 0 , 7 2 9 6 0 ,2 4 8 1

o dj.R ? - 0 , 0 1 3 4 2 2 (F*= 0 ,6 2 9 1 5 5 )

P a n e l C : w in d o w u n tu k C A R 7 t i g a h a r i s e b e l u m d a n ti g a h a r i s e s u d a h p e n g u m u m a n d iv id e n ( t - 3 , 0 , t+ 3 )

K o e f is ie n - 0 , 0 0 1 8 6 0 ,0 0 0 6 0 ,0 0 0 2 - 0 , 0 1 4 2 0 2 - 0 ,0 1 5 3 9 8 - 0 ,0 2 6 3 0 ,0 0 4 6 - 0 ,0 0 3 8 0 3 0 ,0 0 0 7

i- v a iu e - 0 , 1 1 0 7 9 7 1 , 5 4 7 9 0 ,2 7 8 1 - 0 ,7 3 0 3 - 0 ,7 9 3 8 - 1 ,3 0 2 1 0 , 2 3 2 3 9 6 - 0 , 1 8 9 4 0 ,1 5 2

p - v a lu e 0 ,9 1 1 9 0 , 1 2 3 1 0 ,7 8 1 2 0 , 4 6 6 0 ,4 2 8 1 0 , 1 9 4 2 0 ,8 1 6 5 0 ,8 4 9 9 0 , 8 7 9 3

a dj. R* - 0 , 0 0 8 0 6 8 ( F = 0 ,0 .7 7 5 8 9 6 )

P a n e l D : w in d o w u n t u k C A R I 1 li m a h a r i s e b e l u m d a n li m a h a r i s e s u d a h p e n g u m u m a n d iv i d e n ( t - 5 , 0 , t+ 5 )

K o e f is ie n 0 .0 2 0 4 0 3 0 ,0 0 0 8 0 , 0 0 0 5 - 0 , 0 2 8 5 - 0 , 0 4 7 0 9 7 - 0 , 0 3 9 3 - 0 , 0 1 9 6 - 0 ,0 3 5 1 - 0 ,0 0 0 5

t- v a l u e 0 , 9 8 3 8 1 ,7 5 4 1 0 ,8 0 7 1 - 1 ,1 8 5 1 - 1 , 9 6 0 7 - 1 , 5 7 2 6 - 0 , 8 0 3 4 9 8 - 1 , 4 1 1 9 - 0 ,0 9 5 2

p - v a l u e 0 , 3 2 6 3 0 ,0 8 0 8 * 0 ,4 2 0 5 0 , 2 3 7 2 0 , 0 5 1 2 * * 0 , 1 1 7 3 0 , 4 2 2 6 0 ,1 5 9 4 0 ,9 2 4 2

a d j .R 3 0 , 0 0 0 1 0 8 ( F = 1 ,0 0 3 0 2 2 )

P a n e l £ : w in d o w u n tu k C A R 2 1 s e p u lu h h a r i s e b e l u m d a n s e p u lu h h a r i s e s u d a h p e n g u m u m a n d iv i d e n ( t - 1 0 , 0 , t + 10)

K o e f i s ie n 0 ,0 1 2 3 0 ,0 0 1 8 0 ,0 0 0 8 - 0 , 0 3 5 8 - 0 , 0 5 5 4 9 8 - 0 .0 3 1 1 - 0 , 0 1 8 0 2 7 - 0 ,0 2 4 0 1 7 0 . 0 0 9

t - v a l u e 0 ,4 2 9 2 2 , 5 7 9 1 0 ,8 4 4 9 - 1 , 0 7 5 - 1 , 6 6 8 5 - 0 , 8 9 6 3 - 0 , 5 3 1 7 9 7 • 0 ,6 9 7 6 1 ,1 0 2 2 0 4

p - v a lu e 0 ,6 6 8 2 0 ,0 1 0 6 * * * 0 ,3 9 9 1 0 ,2 8 3 6 0 ,0 9 6 7 * 0 ,3 7 1 1 0 , 1 9 5 4 0 ,4 8 6 2 0 ,2 7 1 6

a d j. R 1 0 , 0 1 4 0 0 3 ( F * 1 , 3 9 7 6 4 7 )

V a r i a b e l D e p e n d e n :

C A R O = c u m u l a t i v e a b n o r m a l r e t u r n p a d a t a n g g a l p e n g u m u m a n d i v i d e n

C A R 3 = c u m u l a t i v e a b n o r m a l r e t u r n s a t u h a r i s e b e l u m d a n s a t u h a r i s e s u d a h p e n g u m u m a n d i v i d e n

C A R 7 = c u m u l a t i v e a b n o r m a l r e t u r n t i g a h a r i s e b e l u m d a n t i g a h a r i s e s u d a h p e n g u m u m a n d i v i d e n